Trading (version 3.1)

FxForward-class: FX Forward Class

Description

Creates a FX Forward Object with the relevant info needed to calculate the Exposure-at-Default (EAD)

Value

An object of type FX Forward

Arguments

Notional

The notional amount of the trade

MTM

The mark-to-market valuation of the trade

Currency

The currency that the input amounts are in

ccyPair

The currency Pair of the trade

Si

The number of years that the trade will take to start (zero if already started)

Ei

The number of years that the trade will expire

BuySell

Takes the values of either 'Buy' or 'Sell'

traded_price

the price that trade was done

Author

Tasos Grivas <[e-mail]>

References

Basel Committee: The standardised approach for measuring counterparty credit risk exposures http://www.bis.org/publ/bcbs279.htm

Examples

## an FX Forward trade 
tr1 = FxForward(Notional=10000,MtM=-50,Si=0,Ei=0.75,BuySell='Buy',ccyPair="EUR/USD")
## a dynamic version of the same trade
tr2 = FxForward(MtM=-50,Si=0,Ei=0.75,ccy_paying="USD",amount_paying=10000,
ccy_receiving="EUR",amount_receiving=9900)
tr2$base_ccy="EUR"
tr2$setFXDynamic()